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BBEU vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between BBEU and ^GSPC is 0.76, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.8

Performance

BBEU vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in JPMorgan BetaBuilders Europe ETF (BBEU) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

40.00%60.00%80.00%100.00%120.00%JulyAugustSeptemberOctoberNovemberDecember
39.06%
114.32%
BBEU
^GSPC

Key characteristics

Sharpe Ratio

BBEU:

0.29

^GSPC:

2.10

Sortino Ratio

BBEU:

0.48

^GSPC:

2.80

Omega Ratio

BBEU:

1.06

^GSPC:

1.39

Calmar Ratio

BBEU:

0.34

^GSPC:

3.09

Martin Ratio

BBEU:

0.97

^GSPC:

13.49

Ulcer Index

BBEU:

3.84%

^GSPC:

1.94%

Daily Std Dev

BBEU:

12.86%

^GSPC:

12.52%

Max Drawdown

BBEU:

-36.26%

^GSPC:

-56.78%

Current Drawdown

BBEU:

-10.93%

^GSPC:

-2.62%

Returns By Period

In the year-to-date period, BBEU achieves a 1.59% return, which is significantly lower than ^GSPC's 24.34% return.


BBEU

YTD

1.59%

1M

-1.29%

6M

-4.70%

1Y

2.27%

5Y*

5.40%

10Y*

N/A

^GSPC

YTD

24.34%

1M

0.23%

6M

8.53%

1Y

24.95%

5Y*

13.01%

10Y*

11.06%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

BBEU vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for JPMorgan BetaBuilders Europe ETF (BBEU) and S&P 500 (^GSPC). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratio
The chart of Sharpe ratio for BBEU, currently valued at 0.29, compared to the broader market0.002.004.000.292.10
The chart of Sortino ratio for BBEU, currently valued at 0.48, compared to the broader market-2.000.002.004.006.008.0010.000.482.80
The chart of Omega ratio for BBEU, currently valued at 1.06, compared to the broader market0.501.001.502.002.503.001.061.39
The chart of Calmar ratio for BBEU, currently valued at 0.34, compared to the broader market0.005.0010.0015.000.343.09
The chart of Martin ratio for BBEU, currently valued at 0.97, compared to the broader market0.0020.0040.0060.0080.00100.000.9713.49
BBEU
^GSPC

The current BBEU Sharpe Ratio is 0.29, which is lower than the ^GSPC Sharpe Ratio of 2.10. The chart below compares the historical Sharpe Ratios of BBEU and ^GSPC, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
0.29
2.10
BBEU
^GSPC

Drawdowns

BBEU vs. ^GSPC - Drawdown Comparison

The maximum BBEU drawdown since its inception was -36.26%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for BBEU and ^GSPC. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-10.93%
-2.62%
BBEU
^GSPC

Volatility

BBEU vs. ^GSPC - Volatility Comparison

The current volatility for JPMorgan BetaBuilders Europe ETF (BBEU) is 3.38%, while S&P 500 (^GSPC) has a volatility of 3.79%. This indicates that BBEU experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.38%
3.79%
BBEU
^GSPC
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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